Dynamic Inter-Relationship among Commodities Energy Rate and Stock Market Volatility in Saudi Arabia
Manal S Alsufyani1, Tamat Sarmidi2

1Manal S Alsufyani, Faculty of Economic and Management, Universiti Kebangsaan Malaysia.
2Tamat Sarmidi, Faculty of Economic and Management, Universiti Kebangsaan Malaysia.
Manuscript received on 26 June 2019 | Revised Manuscript received on 09 July 2019 | Manuscript Published on 17 July 2019 | PP: 372-379 | Volume-8 Issue-2S July 2019 | Retrieval Number: B10540782S19/2019©BEIESP
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)

Abstract: The paper investigated the correlation and volatility relationship among commodity energy rate and the stock exchange in Saud-Arabia for the period April 2007-December 2017 using the monthly time series data. We utilized the dynamic conditional correlation DCC that enable us to measure both the correlation and volatility parameters of the variables of the study. The result from the estimated model provided evidence of a positive, significant and robust relationship among the commodity energy rate and the stock market. The result further showed evidence of time varying correlation. Finally, we found evidence of volatility interdepended between the variables. The study concluded that global and domestic level, commodity energy price affects the financial and macroeconomic variables of Saudi Arabia, especially the stock market. Therefore, we recommended that any economic policy or regulation should include hedging the commodity energy price due to their volatile nature to reduce their influence on the market and the economy at large.
Keywords: Correlation; Volatility; DCC Model; Energy; Price; Saudi Arabia.
Scope of the Article: Marketing and Social Sciences